Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0567 |
| Annualized Std Dev | 0.2297 |
| Annualized Sharpe (Rf=0%) | 0.2470 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2904.0000 |
| NAs | 1.0000 |
| Minimum | -0.0929 |
| Quartile 1 | -0.0064 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0079 |
| Maximum | 0.0788 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0145 |
| Skewness | -0.4346 |
| Kurtosis | 5.1988 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.4258 |
| Historical VaR (95%) | -0.0224 |
| Historical ES (95%) | -0.0351 |
| Modified VaR (95%) | -0.0237 |
| Modified ES (95%) | -0.0437 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-06-09 | 2020-03-23 | 2020-11-20 | -0.4258 | 1617 | 1447 | 170 |
| 2011-05-02 | 2011-09-23 | 2013-09-11 | -0.3562 | 595 | 102 | 493 |
| 2010-04-21 | 2010-06-08 | 2010-09-20 | -0.1956 | 106 | 34 | 72 |
| 2010-01-12 | 2010-02-05 | 2010-04-01 | -0.1187 | 56 | 18 | 38 |
| 2010-11-05 | 2010-11-30 | 2011-01-03 | -0.0961 | 40 | 17 | 23 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | -4.4 | -3.3 | -2.1 | 1.9 | -2.6 | -10.2 |
| 2010 | 2.3 | 1 | 1.9 | 0 | 0.5 | -0.7 | -1 | 5 | 0.9 | -0.4 | 3.3 | 0.5 | 13.8 |
| 2011 | 2.2 | -1.6 | 0.8 | 0.1 | -2.4 | 1.4 | -1.8 | -1 | -1.8 | -4.6 | -1.7 | 0.2 | -9.9 |
| 2012 | 2.5 | 0.7 | 2.4 | 0.2 | -3.3 | 5.7 | -0.1 | 1.1 | 1.1 | 0.6 | 0.5 | 1.6 | 13.5 |
| 2013 | 2.5 | 0.2 | -0.6 | -0.8 | -2.6 | 1.2 | 0.6 | -1.6 | 1.4 | -0.5 | 0.6 | 0.4 | 0.7 |
| 2014 | -0.8 | 0.6 | 0.9 | -0.7 | 0 | 0.7 | -1.4 | 0.2 | -0.8 | 0.1 | 0.1 | -1.4 | -2.6 |
| 2015 | 0 | 0.8 | 0.5 | 0.7 | 0 | 0.7 | 0.8 | -2.6 | 0.2 | 0.7 | 0.8 | -0.8 | 1.7 |
| 2016 | -1 | 2.2 | -0.3 | -0.2 | 0.2 | 0.8 | -1 | 0.5 | 0.8 | -0.5 | -0.2 | 0.3 | 1.5 |
| 2017 | 0.8 | 1.2 | 0.5 | 0.5 | 1 | 0.3 | 0.3 | 0.2 | 0.2 | 0 | -0.4 | 0.2 | 4.9 |
| 2018 | 0.3 | -1.1 | 1.3 | -0.7 | 1.1 | 1.4 | -0.7 | -1 | -0.5 | 1.2 | 0.3 | 2.1 | 3.6 |
| 2019 | 0.2 | 0.9 | 1 | -1.2 | -0.6 | 0.8 | -0.9 | 0.3 | -1.1 | 1.2 | -0.6 | -0.2 | -0.4 |
| 2020 | -0.4 | -2.1 | -5.1 | -2.1 | 3.6 | 1.1 | -2.1 | -0.4 | 0.6 | -0.7 | 1.7 | -1.3 | -7.3 |
| 2021 | 1.8 | 1.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-08-19 14.9 SPY 100. 0.0088 -0.0083 0.0459 0.104 -0.213 -0.231 -0.0915 GLD 92.5 5.10e-3 -0.0045
2 2009-08-20 15.2 SPY 101. 0.0103 -0.0057 0.0569 0.132 -0.208 -0.227 -0.0795 GLD 92.3 -2.80e-3 -0.0155
3 2009-08-21 16.1 SPY 103. 0.0196 0.0216 0.0544 0.157 -0.194 -0.209 -0.068 GLD 93.6 1.50e-2 0.007
4 2009-08-24 15.6 SPY 103. -0.0001 0.0473 0.05 0.128 -0.206 -0.209 -0.0657 GLD 92.3 -1.40e-2 0.008
5 2009-08-25 15.8 SPY 103. 0.0019 0.0411 0.0489 0.150 -0.188 -0.205 -0.0652 GLD 92.8 4.50e-3 0.0076
6 2009-08-26 15.7 SPY 103. 0.0001 0.0321 0.0539 0.135 -0.190 -0.204 -0.0714 GLD 92.8 3.00e-4 0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
